Electricity price forecasting accounting for renewable energies: optimal combined forecasts

Electricity price forecasting is an interesting problem for all the agents involved in electricity market operation. For instance, every profit maximisation strategy is based on the computation of accurate one-day-ahead forecasts, which is why electricity price forecasting has been a growing field of research in recent years. In addition, the increasing concern about environmental issues has led to a high penetration of renewable energies, particularly wind. In some European countries such as Spain, Germany and Denmark, renewable energy is having a deep impact on the local power markets. In this paper, we propose an optimal model from the perspective of forecasting accuracy, and it consists of a combination of several univariate and multivariate time series methods that account for the amount of energy produced with clean energies, particularly wind and hydro, which are the most relevant renewable energy sources in the Iberian Market. This market is used to illustrate the proposed methodology, as it is one of those markets in which wind power production is more relevant in terms of its percentage of the total demand, but of course our method can be applied to any other liberalised power market. As far as our contribution is concerned, first, the methodology proposed by García-Martos et al(2007 and 2012) is generalised twofold: we allow the incorporation of wind power production and hydro reservoirs, and we do not impose the restriction of using the same model for 24h. A computational experiment and a Design of Experiments (DOE) are performed for this purpose. Then, for those hours in which there are two or more models without statistically significant differences in terms of their forecasting accuracy, a combination of forecasts is proposed by weighting the best models(according to the DOE) and minimising the Mean Absolute Percentage Error (MAPE). The MAPE is the most popular accuracy metric for comparing electricity price forecasting models. We construct the combi nation of forecasts by solving several nonlinear optimisation problems that allow computation of the optimal weights for building the combination of forecasts. The results are obtained by a large computational experiment that entails calculating out-of-sample forecasts for every hour in every day in the period from January 2007 to Decem ber 2009. In addition, to reinforce the value of our methodology, we compare our results with those that appear in recent published works in the field. This comparison shows the superiority of our methodology in terms of forecasting accuracy.

How varies optimal welfare pricing with income distribution? The case of the untolled alternative.

In some countries, such as Spain, it is very common that in the same corridor there are two roads with the same origin and destination but with some differences. The most important contrast is that one is a toll highway which offers a better quality than the parallel road in exchange of a price. The users decide if the price of the toll is worth to pay for the advantages offered. This problem is known as the untolled alternative and it has been largely studied in the academic literature, particularly related to economic efficiency and the optimal welfare toll. However, there is a gap in the literature academic regarding how it affects income distribution to the optimal toll. The main objective of the paper is to fill this gap. In this paper a theoretical model in order to obtain the optimal welfare price in a toll highway that competes for capturing the traffic with a conventional road is developed. This model is done for non-usual users who decide over the expectation of free flow conditions. This model is finally applied to the variables we want to focus on: average value of travel time (VTT) which is strongly related with income, dispersion of this VTT and traffic levels, from free flow to congestion. Derived from the results, we conclude that the higher the average VTT the higher the optimal price, the higher the dispersion of this VTT the lower the optimal price and finally, the more the traffic the higher the optimal toll.

Optimal Combined Forecasts for Electricity Prices: Influence of Clean Energies

In this work, an electricity price forecasting model is developed. The performance of the proposed approach is improved by considering renewable energies (wind power and hydro generation) as explanatory variables. Additionally, the resulting forecasts are obtained as an optimal combination of a set of several univariate and multivariate time series models. The large computational experiment carried out using out-of-sample forecasts for every hour and day allows withdrawing statistically sound conclusions

Analysis of the geometric altimetry to support aircraft optimal trajectories within the future 4d trajectory management

Over the past few years, the common practice within air traffic management has been that commercial aircraft fly by following a set of predefined routes to reach their destination. Currently, aircraft operators are requesting more flexibility to fly according to their prefer- ences, in order to achieve their business objectives. Due to this reason, much research effort is being invested in developing different techniques which evaluate aircraft optimal trajectory and traffic synchronisation. Also, the inefficient use of the airspace using barometric altitude overall in the landing and takeoff phases or in Continuous Descent Approach (CDA) trajectories where currently it is necessary introduce the necessary reference setting (QNH or QFE). To solve this problem and to permit a better airspace management born the interest of this research. Where the main goals will be to evaluate the impact, weakness and strength of the use of geometrical altitude instead of the use of barometric altitude. Moreover, this dissertation propose the design a simplified trajectory simulator which is able to predict aircraft trajectories. The model is based on a three degrees of freedom aircraft point mass model that can adapt aircraft performance data from Base of Aircraft Data, and meteorological information. A feature of this trajectory simulator is to support the improvement of the strategic and pre-tactical trajectory planning in the future Air Traffic Management. To this end, the error of the tool (aircraft Trajectory Simulator) is measured by comparing its performance variables with actual flown trajectories obtained from Flight Data Recorder information. The trajectory simulator is validated by analysing the performance of different type of aircraft and considering different routes. A fuel consumption estimation error was identified and a correction is proposed for each type of aircraft model. In the future Air Traffic Management (ATM) system, the trajectory becomes the fundamental element of a new set of operating procedures collectively referred to as Trajectory-Based Operations (TBO). Thus, governmental institutions, academia, and industry have shown a renewed interest for the application of trajectory optimisation techniques in com- mercial aviation. The trajectory optimisation problem can be solved using optimal control methods. In this research we present and discuss the existing methods for solving optimal control problems focusing on direct collocation, which has received recent attention by the scientific community. In particular, two families of collocation methods are analysed, i.e., Hermite-Legendre-Gauss-Lobatto collocation and the pseudospectral collocation. They are first compared based on a benchmark case study: the minimum fuel trajectory problem with fixed arrival time. For the sake of scalability to more realistic problems, the different meth- ods are also tested based on a real Airbus 319 El Cairo-Madrid flight. Results show that pseudospectral collocation, which has shown to be numerically more accurate and computa- tionally much faster, is suitable for the type of problems arising in trajectory optimisation with application to ATM. Fast and accurate optimal trajectory can contribute properly to achieve the new challenges of the future ATM. As atmosphere uncertainties are one of the most important issues in the trajectory plan- ning, the final objective of this dissertation is to have a magnitude order of how different is the fuel consumption under different atmosphere condition. Is important to note that in the strategic phase planning the optimal trajectories are determined by meteorological predictions which differ from the moment of the flight. The optimal trajectories have shown savings of at least 500 [kg] in the majority of the atmosphere condition (different pressure, and temperature at Mean Sea Level, and different lapse rate temperature) with respect to the conventional procedure simulated at the same atmosphere condition.This results show that the implementation of optimal profiles are beneficial under the current Air traffic Management (ATM).

How varies optimal welfare pricing with income distribution? The case of the untolled alternative

In some countries, such as Spain, it is very common that in the same corridor there are two roads with the same origin and destination but with some differences. The most important contrast is that one is a toll highway which offers a better quality than the parallel road in exchange of a price. The users decide if the price of the toll is worth paying for the advantages offered. This problem is known as the untolled alternative and it has been largely studied in the academic literature, particularly related to economic efficiency and the optimal welfare toll. However, there is a gap in the academic literature regarding how income distribution affects the optimal toll. The main objective of the paper is to fill this gap. In this paper a theoretical model is developed in order to obtain the optimal welfare price in a toll highway that competes with a conventional road for capturing the traffic. This model is done for non-usual users who decide over the expectation of free flow conditions. This model is finally applied to the variables we want to focus on: average value of travel time (VTT) which is strongly related with income, dispersion of this VTT and traffic levels, from free flow to congestion. Derived from the results, we conclude that the higher the average VTT the higher the optimal price, the higher the dispersion of this VTT the lower the optimal price and finally, the more the traffic the higher the optimal toll

Optimal Piecewise Linear Function Approximation for GPU-based Applications

Many computer vision and human-computer interaction applications developed in recent years need evaluating complex and continuous mathematical functions as an essential step toward proper operation. However, rigorous evaluation of this kind of functions often implies a very high computational cost, unacceptable in real-time applications. To alleviate this problem, functions are commonly approximated by simpler piecewise-polynomial representations. Following this idea, we propose a novel, efficient, and practical technique to evaluate complex and continuous functions using a nearly optimal design of two types of piecewise linear approximations in the case of a large budget of evaluation subintervals. To this end, we develop a thorough error analysis that yields asymptotically tight bounds to accurately quantify the approximation performance of both representations. It provides an improvement upon previous error estimates and allows the user to control the trade-off between the approximation error and the number of evaluation subintervals. To guarantee real-time operation, the method is suitable for, but not limited to, an efficient implementation in modern Graphics Processing Units (GPUs), where it outperforms previous alternative approaches by exploiting the fixed-function interpolation routines present in their texture units. The proposed technique is a perfect match for any application requiring the evaluation of continuous functions, we have measured in detail its quality and efficiency on several functions, and, in particular, the Gaussian function because it is extensively used in many areas of computer vision and cybernetics, and it is expensive to evaluate.

Brownian dynamics simulations of protein folding: Access to milliseconds time scale and beyond

Protein folding occurs on a time scale ranging from milliseconds to minutes for a majority of proteins. Computer simulation of protein folding, from a random configuration to the native structure, is nontrivial owing to the large disparity between the simulation and folding time scales. As an effort to overcome this limitation, simple models with idealized protein subdomains, e.g., the diffusion–collision model of Karplus and Weaver, have gained some popularity. We present here new results for the folding of a four-helix bundle within the framework of the diffusion–collision model. Even with such simplifying assumptions, a direct application of standard Brownian dynamics methods would consume 10,000 processor-years on current supercomputers. We circumvent this difficulty by invoking a special Brownian dynamics simulation. The method features the calculation of the mean passage time of an event from the flux overpopulation method and the sampling of events that lead to productive collisions even if their probability is extremely small (because of large free-energy barriers that separate them from the higher probability events). Using these developments, we demonstrate that a coarse-grained model of the four-helix bundle can be simulated in several days on current supercomputers. Furthermore, such simulations yield folding times that are in the range of time scales observed in experiments.

Coalescent estimates of HIV-1 generation time in vivo

The generation time of HIV Type 1 (HIV-1) in vivo has previously been estimated using a mathematical model of viral dynamics and was found to be on the order of one to two days per generation. Here, we describe a new method based on coalescence theory that allows the estimate of generation times to be derived by using nucleotide sequence data and a reconstructed genealogy of sequences obtained over time. The method is applied to sequences obtained from a long-term nonprogressing individual at five sampling occasions. The estimate of viral generation time using the coalescent method is 1.2 days per generation and is close to that obtained by mathematical modeling (1.8 days per generation), thus strengthening confidence in estimates of a short viral generation time. Apart from the estimation of relevant parameters relating to viral dynamics, coalescent modeling also allows us to simulate the evolutionary behavior of samples of sequences obtained over time.

Visual constraints in foraging bumblebees: Flower size and color affect search time and flight behavior

In optimal foraging theory, search time is a key variable defining the value of a prey type. But the sensory-perceptual processes that constrain the search for food have rarely been considered. Here we evaluate the flight behavior of bumblebees (Bombus terrestris) searching for artificial flowers of various sizes and colors. When flowers were large, search times correlated well with the color contrast of the targets with their green foliage-type background, as predicted by a model of color opponent coding using inputs from the bees' UV, blue, and green receptors. Targets that made poor color contrast with their backdrop, such as white, UV-reflecting ones, or red flowers, took longest to detect, even though brightness contrast with the background was pronounced. When searching for small targets, bees changed their strategy in several ways. They flew significantly slower and closer to the ground, so increasing the minimum detectable area subtended by an object on the ground. In addition, they used a different neuronal channel for flower detection. Instead of color contrast, they used only the green receptor signal for detection. We relate these findings to temporal and spatial limitations of different neuronal channels involved in stimulus detection and recognition. Thus, foraging speed may not be limited only by factors such as prey density, flight energetics, and scramble competition. Our results show that understanding the behavioral ecology of foraging can substantially gain from knowledge about mechanisms of visual information processing.

The optimal measure of allelic association

Allelic association between pairs of loci is derived in terms of the association probability ρ as a function of recombination θ, effective population size N, linear systematic pressure v, and time t, predicting both ρrt, the decrease of association from founders and ρct, the increase by genetic drift, with ρt = ρrt + ρct. These results conform to the Malecot equation, with time replaced by distance on the genetic map, or on the physical map if recombination in the region is uniform. Earlier evidence suggested that ρ is less sensitive to variations in marker allele frequencies than alternative metrics for which there is no probability theory. This robustness is confirmed for six alternatives in eight samples. In none of these 48 tests was the residual variance as small as for ρ. Overall, efficiency was less than 80% for all alternatives, and less than 30% for two of them. Efficiency of alternatives did not increase when information was estimated simultaneously. The swept radius within which substantial values of ρ are conserved lies between 385 and 893 kb, but deviation of parameters between measures is enormously significant. The large effort now being devoted to allelic association has little value unless the ρ metric with the strongest theoretical basis and least sensitivity to marker allele frequencies is used for mapping of marker association and localization of disease loci.

Effects of sampling standardization on estimates of Phanerozoic marine diversification

Global diversity curves reflect more than just the number of taxa that have existed through time: they also mirror variation in the nature of the fossil record and the way the record is reported. These sampling effects are best quantified by assembling and analyzing large numbers of locality-specific biotic inventories. Here, we introduce a new database of this kind for the Phanerozoic fossil record of marine invertebrates. We apply four substantially distinct analytical methods that estimate taxonomic diversity by quantifying and correcting for variation through time in the number and nature of inventories. Variation introduced by the use of two dramatically different counting protocols also is explored. We present sampling-standardized diversity estimates for two long intervals that sum to 300 Myr (Middle Ordovician-Carboniferous; Late Jurassic-Paleogene). Our new curves differ considerably from traditional, synoptic curves. For example, some of them imply unexpectedly low late Cretaceous and early Tertiary diversity levels. However, such factors as the current emphasis in the database on North America and Europe still obscure our view of the global history of marine biodiversity. These limitations will be addressed as the database and methods are refined.

A general additive distance with time-reversibility and rate variation among nucleotide sites.

As additivity is a very useful property for a distance measure, a general additive distance is proposed under the stationary time-reversible (SR) model of nucleotide substitution or, more generally, under the stationary, time-reversible, and rate variable (SRV) model, which allows rate variation among nucleotide sites. A method for estimating the mean distance and the sampling variance is developed. In addition, a method is developed for estimating the variance-covariance matrix of distances, which is useful for the statistical test of phylogenies and molecular clocks. Computer simulation shows (i) if the sequences are longer than, say, 1000 bp, the SR method is preferable to simpler methods; (ii) the SR method is robust against deviations from time-reversibility; (iii) when the rate varies among sites, the SRV method is much better than the SR method because the distance is seriously underestimated by the SR method; and (iv) our method for estimating the sampling variance is accurate for sequences longer than 500 bp. Finally, a test is constructed for testing whether DNA evolution follows a general Markovian model.

Enhanced conformational sampling in Monte Carlo simulations of proteins: application to a constrained peptide.

A Monte Carlo simulation method for globular proteins, called extended-scaled-collective-variable (ESCV) Monte Carlo, is proposed. This method combines two Monte Carlo algorithms known as entropy-sampling and scaled-collective-variable algorithms. Entropy-sampling Monte Carlo is able to sample a large configurational space even in a disordered system that has a large number of potential barriers. In contrast, scaled-collective-variable Monte Carlo provides an efficient sampling for a system whose dynamics is highly cooperative. Because a globular protein is a disordered system whose dynamics is characterized by collective motions, a combination of these two algorithms could provide an optimal Monte Carlo simulation for a globular protein. As a test case, we have carried out an ESCV Monte Carlo simulation for a cell adhesive Arg-Gly-Asp-containing peptide, Lys-Arg-Cys-Arg-Gly-Asp-Cys-Met-Asp, and determined the conformational distribution at 300 K. The peptide contains a disulfide bridge between the two cysteine residues. This bond mimics the strong geometrical constraints that result from a protein's globular nature and give rise to highly cooperative dynamics. Computation results show that the ESCV Monte Carlo was not trapped at any local minimum and that the canonical distribution was correctly determined.

Modeling and optimization of populations subject to time-dependent mutation.

It has become clear that many organisms possess the ability to regulate their mutation rate in response to environmental conditions. So the question of finding an optimal mutation rate must be replaced by that of finding an optimal mutation schedule. We show that this task cannot be accomplished with standard population-dynamic models. We then develop a "hybrid" model for populations experiencing time-dependent mutation that treats population growth as deterministic but the time of first appearance of new variants as stochastic. We show that the hybrid model agrees well with a Monte Carlo simulation. From this model, we derive a deterministic approximation, a "threshold" model, that is similar to standard population dynamic models but differs in the initial rate of generation of new mutants. We use these techniques to model antibody affinity maturation by somatic hypermutation. We had previously shown that the optimal mutation schedule for the deterministic threshold model is phasic, with periods of mutation between intervals of mutation-free growth. To establish the validity of this schedule, we now show that the phasic schedule that optimizes the deterministic threshold model significantly improves upon the best constant-rate schedule for the hybrid and Monte Carlo models.

A sampling problem in molecular dynamics simulations of macromolecules.

Correlations in low-frequency atomic displacements predicted by molecular dynamics simulations on the order of 1 ns are undersampled for the time scales currently accessible by the technique. This is shown with three different representations of the fluctuations in a macromolecule: the reciprocal space of crystallography using diffuse x-ray scattering data, real three-dimensional Cartesian space using covariance matrices of the atomic displacements, and the 3N-dimensional configuration space of the protein using dimensionally reduced projections to visualize the extent to which phase space is sampled.